It would perhaps be more helpful, Jon, to say that blueing is an adherent coating of iron oxide, and to leave the term 'rust' for the well known orange-brown mixture of iron oxides which is non adherent.
I am not trying to qualify (again) for the nit-pickers award, but to ensure that no-one gets the impression that if Loctite anaerobic stuff works on blued, or blacked, steel it will also work just as well on rusty steel. However tightly you stick something to rust, it is still rust and is a loose material.
Unless I have got it all wrong (again) …
Cheers, Tim